96/01145 Managing energy price risk

Abstract

Preface Contributors Introduction William Falloon and David Turner of Risk Publications ENERGY INSTRUMENTS 1. Energy Swaps Jack Kellett of Credit Lyonnais Rouse Derivatives 2. Energy Options Michael Hampton of HDS Shipping 3. Energy Exotic Options Vincent Kaminski, Stinson Gibner and Krishnarao Pinnamaneni of Enron Corp 4. Derivatives in Energy Project Finance Lloyd Spencer of Deutsche Bank DEVELOPMENTS IN ENERGY MARKETS 5. The Oil Market Etienne Amic and Phillipe Lautard of Elf Trading 6. The Natural Gas Market Fred Lagrasta, Vincent Kaminski and Ross Prevatt of Enron Corp and Enron Capital & Trade Resources, Inc Panel by Ravi Thurasisingham of Enron Corp Panel by Louise Kitchen of Enron Corp 7. Competitive Electricity Markets Around the World: Approaches to Price Risk Management Grant S. Masson of Enron Corp 8. Regulatory and Legal Issues Kenneth M. Raisler and Alison M. Gregory of Sullivan & Cromwell and Long-Term Capital Management, L.P. RISK MEASUREMENT AND REPORTING 9. VAR, Stress-Testing and Supplementary Methodologies: Uses and Constraints in Energy Risk Management Brian Senior of National Power 10. Credit Risk in Liberalised Power and Natural Gas Markets Ellen Lapson and Richard Hunter of Fitch IBCA 11. Accounting for Derivative Contracts in an Energy Environment Tom Lewthwaite, Hassaan Majid and Nicholas Swingler of Arthur Andersen TOOLS FOR RISK ANALYSIS 12. Power Forward Curves: A Managerial Perspective Shankar Nagarajan of Deloitte & Touche L.L.P. 13. Arbitrage-Free Valuation of Energy Derivatives Kaushik Amin, Victor Ng and Craig Pirrong of Lehman Brothers, Goldman Sachs and Washington University 14. Volatility in Energy Prices Darrell Duffie, Stephen Gray and Philip Hoang of Stanford University and University of Queensland 15. Correlation and Cointegration in Energy Markets Carol Alexander of Oxford University Glossary Index